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Issue LXVI - N. 2 (2008)
 
 
G. FORCHINI
The distribution of the sum of a normal and a t random variable with arbitrary degrees of freedom
SUMMARY
This note derives the distribution of the sum of a normal and StudentÕs t random variable with arbitrary degrees of freedom using a very simple method. It generalizes and simplifies the results of Nason (2006) who has derived the probability density function of the sum of a normal and t-distribution with odd degrees of freedom normalized to have unit variance.
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